Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0252 |
| Annualized Std Dev | 0.1437 |
| Annualized Sharpe (Rf=0%) | -0.1753 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3961.0000 |
| NAs | 1.0000 |
| Minimum | -0.1448 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0032 |
| Maximum | 0.1457 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -0.3708 |
| Kurtosis | 47.4570 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0066 |
| Downside Deviation (0%) | 0.0066 |
| Maximum Drawdown | 0.4268 |
| Historical VaR (95%) | -0.0111 |
| Historical ES (95%) | -0.0216 |
| Modified VaR (95%) | -0.0072 |
| Modified ES (95%) | -0.0072 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-09-24 | 2020-04-03 | NA | -0.4268 | 2623 | 2383 | NA |
| 2005-06-27 | 2008-10-09 | 2010-08-11 | -0.3815 | 1289 | 827 | 462 |
| 2010-08-20 | 2010-08-30 | 2010-09-09 | -0.0348 | 14 | 7 | 7 |
| 2010-09-15 | 2010-09-17 | 2010-09-22 | -0.0262 | 6 | 3 | 3 |
| 2010-08-16 | 2010-08-16 | 2010-08-19 | -0.0229 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | 0 | 0.1 | 0.1 | 0.5 | 2.2 | -0.3 | -1.2 | 0.6 | 1.9 |
| 2006 | 0.1 | -0.4 | -0.2 | 0.1 | -1.7 | 0.5 | -1.1 | -0.7 | 0.2 | -0.7 | -0.1 | 0.4 | -3.5 |
| 2007 | -0.1 | -0.8 | -0.1 | -0.2 | -0.5 | 0.4 | -0.4 | 0.3 | -0.3 | -0.4 | 0.4 | 1 | -0.7 |
| 2008 | -0.2 | -0.1 | 0 | -0.2 | -0.5 | -0.1 | 0.1 | 0.7 | 1.8 | -1.6 | 3.7 | 0.1 | 3.7 |
| 2009 | 0 | -0.3 | -0.6 | -0.3 | 0.9 | -0.1 | 0.5 | -0.2 | -0.2 | 0.1 | -1.1 | -0.2 | -1.4 |
| 2010 | 0.1 | -0.2 | -0.8 | -0.3 | -0.1 | -0.5 | 0.6 | -0.2 | -0.6 | -0.3 | -0.5 | -0.3 | -3.1 |
| 2011 | -1.1 | -0.6 | -0.5 | 0 | -0.3 | -1.1 | 3 | -1.7 | 0.6 | -0.9 | -2.5 | -0.2 | -5.4 |
| 2012 | 0.1 | -0.2 | 0.6 | -0.5 | -0.2 | 0.2 | -0.4 | 0.5 | 0 | -1.8 | -0.8 | -0.5 | -3 |
| 2013 | -0.5 | 0 | -0.2 | -0.8 | -0.6 | -0.7 | -0.6 | -0.5 | 0.8 | 0.7 | 0.1 | 0.1 | -2.1 |
| 2014 | -0.5 | 0.1 | -0.3 | -0.2 | -0.1 | 0.1 | -0.6 | 0.3 | 0.2 | 0 | -0.4 | -0.1 | -1.5 |
| 2015 | 0.5 | -0.2 | 0.3 | 0.2 | -0.3 | -0.3 | 0.5 | -0.3 | -0.5 | 0.7 | -0.7 | 0.8 | 0.6 |
| 2016 | -0.3 | -1.1 | 0.8 | 0.5 | -0.6 | -0.4 | -0.9 | -0.5 | 0.4 | -0.2 | 0.2 | 0.4 | -1.8 |
| 2017 | -0.6 | -0.8 | 0.1 | -0.4 | -0.2 | -0.1 | -0.8 | 0.1 | 0.4 | -0.8 | -0.4 | 0 | -3.5 |
| 2018 | -0.5 | 0.3 | 0 | -0.7 | -0.4 | 0.8 | -0.5 | 0.1 | 0 | 0 | 0.1 | 0.5 | -0.3 |
| 2019 | -0.8 | 0.6 | -0.1 | -0.3 | 0.4 | -0.2 | -0.7 | 1 | -0.3 | 0.1 | -0.1 | 0.4 | -0.2 |
| 2020 | 0.2 | 2.4 | 1.7 | -0.9 | 0.2 | -0.3 | 1.2 | -1.8 | 0.4 | -0.4 | 0.3 | 0.4 | 3.3 |
| 2021 | -0.4 | 1.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-05-26 20.0 SPY 120. 0.0054 0.0064 0.038 -0.0114 0.0696 0.110 -0.149 GLD 41.7 -0.0043 -0.0069
2 2005-05-27 20 SPY 120. 0.0017 0.0095 0.053 -0.0032 0.0654 0.121 -0.142 GLD 41.9 0.0046 0.0055
3 2005-05-31 20 SPY 119. -0.0064 -0.0025 0.0322 -0.0144 0.0587 0.117 -0.134 GLD 41.6 -0.0055 0.0007
4 2005-06-01 20 SPY 120. 0.0085 0.0084 0.0352 -0.0055 0.0691 0.124 -0.141 GLD 41.5 -0.00290 -0.00480
5 2005-06-02 20.0 SPY 121. 0.0022 0.0113 0.0357 -0.0038 0.0674 0.157 -0.124 GLD 42.1 0.0137 0.0055
6 2005-06-03 20 SPY 120. -0.0051 0.0008 0.0226 -0.021 0.0719 0.148 -0.129 GLD 42.2 0.0017 0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
